# Tag Info

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Consider any option, vanilla or exotic. In between fixing dates it satisfies the Black & Scholes PDE (for simplicity zero interest rate and dividends) $$\frac{1}{2} \sigma^2 S^2 \frac{\partial^2 U}{\partial S^2}(S,t)+\frac{\partial U}{\partial t}(S,t)=0$$ Let ${\cal V}(S,t) = \frac{\partial U}{\partial \sigma}(S,t)$ be the option vega. Differentiating ...

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